Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0794
Annualized Std Dev 0.2020
Annualized Sharpe (Rf=0%) 0.3933

Row

Daily Return Statistics

Close
Observations 3583.0000
NAs 1.0000
Minimum -0.1205
Quartile 1 -0.0042
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0058
Maximum 0.1024
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0127
Skewness -0.2736
Kurtosis 12.6105

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0092
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.5508
Historical VaR (95%) -0.0180
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0183
Modified ES (95%) -0.0266
From Trough To Depth Length To Trough Recovery
2007-10-12 2009-03-06 2013-02-01 -0.5508 1324 344 980
2020-02-20 2020-03-23 2020-08-17 -0.3410 125 23 102
2018-09-21 2018-12-24 2019-04-05 -0.1897 135 65 70
2015-05-22 2016-02-11 2016-07-11 -0.1411 286 183 103
2018-01-29 2018-02-08 2018-07-25 -0.1030 124 9 115

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA -0.7 -0.1 -0.9
2007 0.1 -0.5 0.2 0.2 0.2 -0.4 -0.9 1.4 1.3 -1.3 0.5 -0.8 -0.2
2008 1.8 -2.7 3 2.1 0.1 -0.6 -1.4 -0.4 -5.1 3.8 -8.4 1.4 -7
2009 -2.5 -2 2.4 -0.4 4.1 0.5 -0.3 -2.1 -2.3 -2.5 1 -1 -5.3
2010 1.3 1.2 0.2 -1.5 -1.6 -1.8 -0.3 3 -0.2 -0.5 1.8 -0.1 1.4
2011 1.5 -1.3 0.5 -0.1 -1.4 1.5 -1.1 -0.9 -1 -3.5 -0.1 -0.1 -6
2012 1 0.5 0.7 0.6 -2.5 2.2 -0.3 0.3 0.1 1.3 -0.1 1.5 5.4
2013 0.9 0.5 -0.6 -0.7 -1.2 0.6 1.3 -0.3 0.7 0.2 0.1 0.4 1.9
2014 -0.4 0.2 0.8 0.1 0.1 0.7 -0.4 0.2 -1.3 1.1 -0.7 -1 -0.6
2015 -1.5 -0.3 -0.4 1.2 0.3 0.9 0.1 -3 -0.4 -0.4 1 -1.1 -3.5
2016 0.2 2.4 0.9 -0.4 0 0.3 -0.2 0 0.9 -0.6 -0.6 -0.4 2.5
2017 -0.2 1.4 -0.1 0.2 0.7 0.3 0.1 0.3 0.3 0.2 -0.3 -0.3 2.6
2018 0 -1.2 1.7 0.3 1.3 0.3 -0.3 -0.1 0.3 1 1 0.8 5.3
2019 0.2 0.7 1.2 -1.2 -1.3 0.8 -0.7 -0.1 -1.3 0.8 -0.3 0.2 -1.1
2020 -1.9 -0.4 -4.2 -2.5 0.3 0.6 0.2 0.6 0.7 -0.6 1 0.7 -5.6
2021 1.8 2.3 -0.3 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart